All ES

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 3 2.9 47 1 6 (3) (8) 0 85
60 2 2 45 0 5 (2) (8) 0 93
120 2 2.3 51 0 4 (3) (19) 0 92
250 3 3.1 53 1 5 (3) (20) 0 94
500 5 3.2 56 2 7 (4) (49) (1) 93
760 4 2.7 53 1 6 (4) (49) (1) 94
1260 4 2.6 53 1 7 (4) (49) (1) 94
2520 5 2.2 52 2 9 (6) (105) (4) 94
All 4 1.8 51 1 9 (6) (111) (4) 94

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 0.2 0.6 0.3 0.2 0 0.7 0.5 0.4 0.3 0.2 0.3 0.2 4 2.6 52.6 239 (0.3) (0.7) 0.6 0.2
2017 0.3 0.2 0.3 0.1 0 0 0 0 0 0 0 0 0.9 2.9 51.2 86 (0.1) (0.3) 0.5 0.2
2016 0 1.3 0.5 0.3 0 1.5 0.5 (0.1) 0.4 (0.2) 0.3 0.1 4.6 3.1 53.9 236 (0.3) (0.4) 0.6 0.2
2015 0.2 0.4 0.2 0 0 0.5 1 2 0.3 0.6 0.3 (0.3) 5.2 2.9 54.7 227 (0.5) (0.7) 0.5 0.2
2014 (0.1) 0.5 0.2 0.5 0.3 0.2 (0.1) 0.3 0.1 (0.2) 0 0.7 2.4 1.7 51.6 246 (0.3) (1.2) 0.7 0.2
2013 0.5 0.4 0.5 0.3 0.4 (0.1) 0.3 (0.3) 0.4 0.5 0.2 0.4 3.5 2.7 54.1 245 (0.3) (0.5) 0.6 0.3
2012 0.4 0.3 0.3 0.1 (0.5) 1.2 0.8 0.1 0.5 0.4 0.5 0.1 4.2 2.7 48.8 241 (0.3) (0.8) 0.7 0.2
2011 0.2 0.2 0.2 0.8 0 0 0.3 0.5 1 1.4 0.8 0.6 6 2.6 54.4 228 (0.5) (1.5) 0.6 0.2
2010 (0.2) 0.7 0.4 0.1 0.5 (0.2) 1.9 (0.4) 1 0.4 0.1 0.8 5.1 2.2 50.4 240 (0.6) (1.1) 0.7 0.2
2009 0.6 (0.2) 1.6 1.3 0.2 0.5 0.8 0.4 0.9 0.4 0.6 0.1 7.2 2.6 56.6 237 (0.7) (1.9) 0.7 0.2
2008 (0.7) 0.6 1 1.4 0.6 (0.5) 0.8 0.7 (0.5) 2.2 2.4 1.4 9.4 2.1 50.2 230 (1.1) (3.9) 0.7 0.2
2007 0.2 0 0.3 0.5 0.4 0.4 0.4 (0.2) 0.1 0.2 0.2 0 2.5 1.6 52.2 235 (0.5) (0.9) 0.6 0.2
2006 0.6 0.1 0.3 0.1 (0.4) 0.6 0.1 0.1 0.3 0.1 0.1 0.3 2.3 1.8 50.2 247 (0.3) (0.8) 0.5 0.2
2005 (0.3) 0.4 (0.6) 0 0.4 0.2 0.3 0 0 (0.2) 0 (0.2) 0 (0.1) 46.5 238 (0.2) (1) 0.6 0.3
2004 0.2 0.3 0.5 (0.2) 0.1 0.2 (0.6) 0.2 0.2 0.7 0.3 0.4 2.3 1.9 53.6 245 (0.3) (1) 0.7 0.3
2003 0.7 0.3 1.2 1.1 0.6 0.6 0.4 0.8 0.1 0.7 0.5 0.6 7.6 3.7 55.6 241 (0.4) (1) 0.7 0.3
2002 (0.4) 0.1 0.5 (0.6) 0.3 (0.4) 0.3 0.8 (0.9) 0.5 0.8 (0.5) 0.5 0.2 43.3 249 (0.6) (2.2) 0.6 0.3
2001 0.2 (1.1) (0.5) 2 0.6 (0.1) 0.5 (0.7) (2.3) 0 0.4 0.2 (0.8) (0.3) 44.9 244 (1.1) (3.8) 0.5 0.2
2000 0.1 0.5 1.2 1.4 0.7 0.8 0 0.2 (0.6) (1.1) (0.3) 1 3.9 1.6 45.9 229 (0.6) (2.4) 0.5 0.2